No White Swan.

Not so active over the Xmas period lots of R&D. Will get back into it for the start of the new year. With some other stuff.

Plus the curves can be a little unpredictable during this time. 

Taper in the balance. Will be surprised if the fed did, but then again could be politically motivated to do so. Me not prepared to position curve infront of announcement. Keep powder dry for after the event.

Have a good Christmas. 

Lee

Thanks Giving

Good morning all,

Yesterday we witnessed mildly better US data through all figures,  followed by a very soft 7 year auction. As a result the past week or so rally trend in tens has been broken. Volume appears to be switching so from this afternoon I'm trading the march contract.
I expect if we are to get any action today it will be in the morning so we can all put our feet up and chill during the U.S. hours.
TYA

 The ten tear is 3/4 32s off from Eurex close. So I'm looking for the bund to open around the mid 50s. Markets are likely to be thin so that call might not be very accurate based on where MR path of least resistance algo finds the volume. Bunds fail to break above 141.79 yesterday this despite more ECB members reading from the neg deposit rate ECB manual!(Constancio).
Down move was influenced by US markets. So If we want to try higher today & tomorrow might be a good time to do it.
Bund

€ Curves

I see Schatz/bund as balanced at the mo inline with the bund position. Whilst modest strength in Bobl has giving a bid to Bobl/Bund and a sense of weakness in the Schatz/Bobl.

A host of Eur data out this morning to look forward to including the EUR HICP & Unemployment rates. Carney speaking might add some interest for Gilts, Short sterling & GBP.

 

Good luck.

Lee

 

Good luck

27/11/2013

Good morning all.
Heading into thanks giving, seems like the holiday started monday. If it werent for the verbal diarrhea of the ECB members we wouldn't have had any reason to trade rates or bonds this week!
We are also heading into month end, many big players will be packing up for the year too I expect. Leaving us small fries to the mercy of the algo bully. No worries keep yer powder dry and said algo will hand you plenty of free money in the quiet December market.
Big picture. The US 10s is on the blue line that to me is trending higher. Will be interesting to see if can push above 127.055 today.

US tens

 

Bund

Bund all but reached first target of 141.79 lastnight. No change to the story, so I only see down moves as a chance to buy. Just in case you havent heard....Negative rates arn't ruled out, depo rates  can still be cut. Deflation risks are still there and ECB have tools at their disposal. The room for the manoeuvre on interest rates has not been exhausted. Another day another way to say"we might cut rates again"  is in the post

 

€ curve

 

Month end extensions, bond roll also starting to come in to play. As with the bund tho, sentiment and theme are still the same. I'm looking to sell rallies til  a new story is on the line. Maybe look to fade long any down moves in Euribor too.

 

 

 

EUR consumer confidence UK gdp and a host if US data to look forward too. Look out for the results of the bund auction around 10/10:30 am too.

 

 

Good luck

 

Lee

 

22/11/2013

Good morning,

Respite from Taper frenzy. U.S 10s looks to be nicely balanced. Strong November jobs report will increase the chances of a Dec Taper. Then the Philly fed outlook comes in much softer than expected.
In Europe Consumer confidence come in lower than expected.

TY

Overnight, nothing to speak of happened so we may see a slow open. 141.04 being the first upside target. 140.53 Wasn't broken yesterday but with IFO and GDP out in Germany this morning I wouldn't rule out an attempt.
Bund

 

€ curve, Looking to fade dips still. The longer term schatz-bobl looks like its turning to follow bobl-bund. Schatz-bund pretty much reached resistance and I look for a pull back to buy into. At present its too high for me to buy but couldn't go short unless its on a large stop spike. Not likely to see unless bunds breaks 140.53.

 

 

LTRO payments could offer up some interest for the Euribor

 

 

 

Good luck

Lee

18/11/2013

Good morning all,

U.S. 10 year

Just a couple of ticks higher since the Eurex close, this puts immediate resisitence at 141.78 in the spotlight. Quite a light day on the data front to drive direction so I guess we shall just follow the path of least resistence. Which to me says up....slightly.

Bund

€ curve,  current up move in bonds is weighing on the long term curve chart. Could be a quiet day so I'm keeping positions light and flexible. Bobl seems reluctant to follow the bunds higher at present, I see Schat/bobl spread with little direction until bund breaks out of the range of the past few days. Whilst Schatz/Bund is around support and looks heavy as does Bobl/Bund. Speculation about forms of liquidity providing by the ECB now under the spotlight and may become an influence when the next meet comes on to the radar.

€ curve

 

A few Fed speakers this afternoon could have an influence on direction. We also have a nice new big figure to look forward to in the S&P at some point today.

 

 

Mini S&P

 

Good luck

Lee

 

14/11/2013

Good morning,

Praet ECB chief economist yesterday signalled that the ECB could adopt negative rates or purchase assets to ensure price stability. This has broken the weeks downward momentum in bonds, notes & stirs. Strong Ten year auction from the U.S. encourage more buying of treasuries. The rally seem to have peaked around 126.275 area which is handy as it looks to me to be the approximate top of the current downtrend. Abreak above here may signal much higher prices into year end.

Yellen speaking this afternoon will be interesting.

TY

 

Bund, likewise stopped its arally infront of 141.42 area that again looks like the top of the downtrend. For me to remain bearish I would like to see a break of 141.26 quite early. If we open above 42, we might see some stop buying early.

€ curve, yesterdays rally driven by Praet's Dovish comments has helped correct the steepening that was underway. Long term we are holding on to support here. Whilst short term has turned bearish. A break of 26 below in bund would signal a continuation fo uptrend in spreads. A break of 141.42 will cause me to reconsider the long term steepening bias.

 

This all after a what seemed to me a fairly Hawkish UK Quarterly Inflation Report & positive Unemployment data. So this is what Gilt-Bund spreads look like.

 

 

Plenty on tha data front this am to point the bunds in a direction. Starting with European GDPs, ECB monthly report and UK retail sales

 

Good luck

Lee

 

13/11/2013

All eyes on the the UK today. Unemployment Rate 09:30 followed by BofE qtly inflation report an hour later. Last one was rather volatile so we live in hope for some action.

Anyway here are some charts.
Starting with the US 10s

Steam running out on the downside momentum right now. I guess we need to see a bit of range trading before we get the energy for another push down. Or retrace the positive NFP.

Bunds

Bunds did a good job of supporting around 140.55/50. momentum still to the downside but a break above 140.87 may see that change for me. As a consequence of this I'm reluctant to go against the strength in curves.
€ curves #buydips - Could get a decent opportunity to do so today as there is a Schatz auction to watch for this morning.

 

Good luck

Lee

 

 

12/11/2013

Good morning all,
Better than expected NFP on friday still weighing on thin bank holiday volume in the U.S. bonds.

Bunds, First area of support is 140.91 to 87. I see the real tester at 140.55 for this week. To the upside 141.26. Momentum is to the downside at present but Ger CPI this am could be an influence on direction for today at least.

 

€ curve, with the long end heavy the curve is obviously steepening. I see no reason to be holding short positions in the spreads right now.  Looking for dips to buy.

€ teds, Rate cut fever is now over with. I anticipate some range trading in these. Although in thin markets the path of least Resistance algo in Euribor will take it wherever it wants.

 

 

With UK CPI, PPI & RPI out today It would be foolish to not look at the freight train that is

Gilt-Bund spread!

 

 

Good luck

Lee

 

 

 

Morning after the day before

So the cut came yesterday instead of December. I won't bore you all with what was said. Its put far better here - http://blogs.wsj.com/moneybeat/2013/11/07/the-ecbs-rate-cut-five-key-takeaways/
Whilst we were all scrambling to buy Bobl and Euribor the U.S. GDP got missed. Very good number to go with the steady increase in improving data from our Transatlantic cousins. Like October shutdown never happened....But Taper could.

Bunds, yesterdays cut reaction broke to mini down trend that was forming in German 10 year. The maket has stabilized around the 141.82 area. Likely to see range trade til NFP this afternoon. Could be a good morning for long breakfast.

 

€ Curve, 2s10s & 2s5s held resistence on on the downward trendline pre ECB cut. I  see value in buying 2s10s now that the cut has happened most bond direction likely to focus on U.S. positivity which should see the long end lower.

5s10s continued it super strength by spiking some 40 ticks on the number before "mean reverting". I probably need it to come off a further 20 ticks to consider any size buying of that. I know trend is your friend and all that but I have to admit I'm a tad puzzled by Bobls popularity right now. Is it just being dragged up by the strength in red and green Euribor????

 

 

€ teds, Huge spike as someone bought all the Euribor for 10/12 ticks(tin foil hat points at Morgan Stanley(but that would be too obvious))  before the actual release and before the Eurex bonds could react. Its back in line now. Ready to continue tick higher...“we haven’t reached the lower bound”. Another cut maybe?

 

France downgrade by s&p so I'll look at the OAT vs Bunds

 

 

 

Have a nice day y'all

 

Lee

My ECB charts

 

 

Sep14 Euribor

 

 

 

Sep 14 Ted

 

 

 

Sep 15 Euribor

 

 

 

Mar16 Bobl Ted

 

 

Schatz

 

Bobl

 

 

Bobl/Bund spread...for fun!

 

 

 

 

 

07/11/2013 ECB day.

The day we've all been waiting for....Well since that rubbish CPI number last week.

Cpi has been in steady decline for the best part of 2 years. ECB target is 2%, it hasn't been there this year. Last weeks number was quite a dip down from the expected too. So this triggered calls for a rate cut. Some banks even going for one today.
If there is no cut today which I think is largely expected we may see a slight knee jerk sell off in front and red euribor. Given the expectation for a cut in December this would offer a decent buying opportunity. I do expect quite a dovish Q&A from Mr Draghi including hints towards new liquidity measures. So I can only see profit in buying Euribor dips.

€ teds have continued to climb higher, tho I wouldn't rule out some small retrace pre ECB. A non event disappointment Q&A could see these spreads get sold hard initially. I still find more risk to being short, so would consider that an opportunity to buy cheap teds.

 

€ curve quite some steepening since the Cpi release, huge amounts in Bobl/Bund spread. Schatz/Bobl & Schatz/Bund have made a steady climb higher in line with expectations of shorter rates being cut. On the longer term time frame (240min) they currently sit just under the down trend line. A cut today would see them replicate the Bobl/Bund chart and target much higher levels.

 

BTP/Bund spread.

 

 

Mustn't forget UK has its rate announcement today too. I'll keep an eye on this Gilt/Bund spread

 

 

Oh, amidst all this US initial Jobless claims and GDP might throw a curve ball into proceedings.

Good luck

Lee

04/11/2013

Good morning,

Slow start to the day. I won't be forcing it with so much going on this week. U.S. 10s  bouncing off of 126.215 support. Not sure if it has the legs for much of a rally.

Bunds Could be rolling over..or..Could be entering into some sideways boredom pre ECB. I think the focus might be more on the shortend this week.

€ curve, Standout from last week was the impressive bobl rally. Based on the increased likelyhood of a rate cut coming soon I expect the rest of the curve trades to steepen. Maybe not quite as aggressive as bobl/bund tho. Could be some value in buying Schatz/bobl spread here into ECB this week.

€ teds, Impressive LTRO repapyment number friday may have taking some of the Bor bid out of the market. Nevertheless the Bor continues to outperform the bonds to the upside.

 

Euro Manufacturing PMI and Sentix investor confidence out today.

 

Have fun

Lee

Noisy November

Well that was quite some end to October. Fed taper not off the table this side of Christmas (data dependant) and the Chicago PMI coming in quite a bit higher than expected. Maybe its not all doom and gloom in the USofA.
The other side the UK is a different story altogether. All European data coming out was relatively negative non more so than the CPI. This caused banks everywhere to change their current ECB rate forecasts to include a cut soon. In some instances as soon as next week!
So we get a double whammy for the EURUSD. The EURJPY, EURCHF and EURGBP could see quite a turnaround into year end.
I don't expect the cut to come this week although dovish tones will ring out. So we could get a little retrace of the recent moves into Thursday to enable some real edge on longer term trades.

My EURCHF cme futures 30min chart.

Daily

EURUSD cme futures Daily.

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So how has the rest of 73 charts fared this week?

Well this was a nice little earner after taking the "cheap stop" last week, I had another go this week....and FOMC less dovish comments worked fine and dandy. Octobers down trend came from a lack of desire to own short dated US bonds. Once this was dealt with everyone assumed taper out the window so we witnessed a sharp up move towards the end of the month. 

After such a big move down I do anticipate a little sideways and maybe a small retrace. Actually could establish a small range around here until the next meet. That said Non farm and employment on friday will influence a big move, that I can be certain of....Even if I have no clue what way!

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I dunno why I play this blighter! When i first started charting it there was a nice size ATR mean reverting range. Since I went live its been one excuse after another for swinging around. I might as well drop it and trade outright 2 year. Far less volatile, just missing that false sense of security I give myself with these ideas. Just keep size small!

  

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This one I love...always keep it small and it contributes to the pot. In one of the hardest markets to trade without flow nod or just blatant front running!. This idea has given me suitable false sense of security.

Cracking week to look forward to for volatility. So keep your powder dry, your size rational and your mind fresh...You do this and your plans should put ticks in your bin.

Blacks keys are on my headphones at the mo....Love the earthy raw stuff. Anyway, Ive just been summoned to make the tea.

Be groovy
Lee